Dynamics of Spot, Forward, and Futures Libor Rates

DOI10.1142/S0219024998000230zbMath0909.90032MaRDI QIDQ4216123

Marek Rutkowski

Publication date: 28 December 1998

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

martingale measures

Mathematics Subject Classification ID

Related Items (2)

THEORY AND CALIBRATION OF SWAP MARKET MODELS ⋮ Models of forward Libor and swap rates

Cites Work

• Continuous-time term structure models: Forward measure approach
• LIBOR and swap market models and measures
• Option pricing in the presence of natural boundaries and a quadratic diffusion term
• A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics

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